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CPR Report: Actual 7(a) Prepays Stay Below 15%

April 24, 2019

CPR Report: Actual 7(a) Prepays Stay Below 15%

By Bob Judge
Editor, CPR Report

In March, total prepays, including paid excess principal (ACPR), came in at 14.07%, a 1% decrease from last month’s reading of 14.27%.

After correcting for the excess principal being released from the MRF, pool prepays (CCPR) came in at 12.67%, up .52% from the previous reading of 12.60%.

Underlying loan level CPRs (LCPR) came in at 13.77%, down 1% from the prior level of 13.89%.

As for the largest sector in the market, 20+ years to maturity, the ACPR came in at 14.69%, a decrease of 5% from the previous reading of 15.44%. The CCPR came in at 13.27% versus 13.87% and the LCPR recorded 14.45%, down from 15.29%, previously.

The CDR calculations came out as follows:

Including excess (ACDR) was 2.74%, pool corrected (CCDR) was 2.47% and the loan-level (LCDR) was 2.68%.

As for the CRR, they came is as follows:

ACRR: 11.33%, CCRR: 10.20%, LCRR: 11.09%.

Regarding our maturity buckets, we saw 4 out of 7 buckets decrease.

By order of magnitude, decreases were seen in the actual data in 13-16 (-40% to ACPR 4.14%), 8-10 (-20% to ACPR 9.18%), <8 (-7% to ACPR 17.61%) and 20+ (-5% to ACPR 14.69%).

Increases were seen in Fixed (+91% to 4.11%), 16-20 (+69% to 20.20%) and 10-13 (+5% to 13.41%).

As for the CCPR, we also saw 4 buckets decrease, with the largest one being: 13-16 (-48% to CCPR 3.44%), 8-10 (-16% to CCPR 8.70%), 20+ (-4% to CCPR 13.27%) and <8 (-1% to CCPR 15.17%).

Increases were seen in Fixed (+98% to 4.17%), 16-20 (+86% to 18.70%) and 10-13 (+10% to 11.90%).

Lastly, for the LCPR, we also witnessed 4 decreases, led by 13-16 (-48% to LCPR 3.64%), 8-10 (-18% to LCPR 8.93%), 20+ (-6% to LCPR 14.45%) and <8 (-3% to LCPR 16.65%).

Increases were seen in Fixed (+96% to 4.38%), 16-20 (+83% to 21.82%) and 10-13 (+8% to 12.90%).

Next month expect a jump back above 15% as we enter the spring.

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